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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Börsenkurs"
~subject:"Oil price"
~subject:"Volatility"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Börsenkurs
Oil price
Volatility
ARCH model
64
ARCH-Modell
64
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33
Theory
33
Volatilität
29
Estimation theory
25
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Bauwens, Luc
2
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Energy economics
230
Finance research letters
138
Economic modelling
117
Applied economics
116
International review of financial analysis
107
The North American journal of economics and finance : a journal of financial economics studies
104
Research in international business and finance
100
Journal of empirical finance
96
International review of economics & finance : IREF
95
Journal of international financial markets, institutions & money
80
Journal of risk and financial management : JRFM
75
Journal of econometrics
67
International journal of forecasting
64
Applied financial economics
62
Journal of banking & finance
59
Journal of forecasting
59
Applied economics letters
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Discussion paper / Tinbergen Institute
54
Economics letters
54
International Journal of Energy Economics and Policy : IJEEP
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
47
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
42
Working paper
42
The journal of futures markets
41
Econometric Institute research papers
40
International journal of economics and financial issues : IJEFI
37
International journal of finance & economics : IJFE
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The European journal of finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
36
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
34
Cogent economics & finance
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International journal of economics and finance
31
Review of quantitative finance and accounting
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The empirical economics letters : a monthly international journal of economics
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Pacific-Basin finance journal
28
Journal of international money and finance
27
Journal of financial econometrics
25
Quantitative finance
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ECONIS (ZBW)
29
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1
Locally stationary multiplicative volatility modeling
Walsh, Christopher
;
Vogt, Michael
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 497-508
Persistent link: https://www.econbiz.de/10014448258
Saved in:
2
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
A stochastic volatility model with a general leverage specification
Catania, Leopoldo
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 678-689
Persistent link: https://www.econbiz.de/10013534044
Saved in:
5
Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Cavicchioli, Maddalena
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1772-1783
Persistent link: https://www.econbiz.de/10013540511
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6
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
7
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
8
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
9
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
10
Volatility martingale difference divergence matrix and its application to dimension reduction for multivariate volatility
Lee, Chung Eun
;
Shao, Xiaofeng
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 80-92
Persistent link: https://www.econbiz.de/10012179517
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